The Ninth Public Investors Conference
12-13 September 2024
Singapore
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The last several years have presented unprecedented challenges for public investors. The detrimental effects of the pandemic and recent geopolitical conflicts have led to new expansionary fiscal policies. In addition, the subsequent sudden surge in inflationary pressures triggered, in some major currency areas, a rapid tightening of monetary policy. Higher real interest rates and the contraction of central banks' balance sheets have added to the cost and quantity of debt. These events may have caused structural changes with an impact on global financial markets that is difficult to assess. Meanwhile, the sense of urgency surrounding climate and nature-related risks has increased, prompting investors to intensify their efforts to integrate the climate risk dimension into their investment processes. Here, public investors have assumed a critical role in favouring the transition toward a sustainable economy Altogether, these developments have introduced additional trade-offs in asset allocation decisions.
In this context, the Ninth Public Investors Conference explored a range of relevant issues:
- New methodologies for risk-return modelling that incorporate financial risks in the current environment
- Integration of sustainability considerations into the investment process
- Robust asset allocation and asset-liability models for public investors
- Artificial intelligence developments and their application to portfolio construction as well as investment and risk management
The conference proceedings were published by the BIS.
Agenda
Thursday, 12 September 2024
| 09:15 a.m. | Registration |
| 10:10 a.m. | Welcome |
| 10:15 a.m. | Opening remarks |
Session 1: Climate Risk
Chair: Ingo Fender, Bank for International Settlements (BIS)
| 10:30 a.m. | Aligning Investments with the Paris Agreement: Frameworks for a Net Zero Pathway Johanna Lasker and Raul Leote de Carvalho, BNP Paribas Asset Management |
| 11:00 a.m. | Paris-Aligned Commodities Andrew Ang, Taylor Dufour, Filip Mena-Berlin, He Ren, and Katharina Schwaiger, BlackRock |
| 11:30 p.m. | How you measure transition risk matters: Comparing and evaluating climate transition risk metrics Philip Fliegel, PECan Research Group - Humboldt University Berlin |
Session 2: Sustainable Finance
Chair: Eric Bouyé, The World Bank
| 01:30 p.m. | Assessment of ESG Impacts on Corporate Credit Spreads by the Phase of Business Cycle Jae Yong Choi, Bank of Korea |
| 02:00 p.m. | Mutual Fund Trading, Greenwashing, and ESG Clientele Rui A. Albuquerque, Boston College, Centre for Economics Policy Research (CEPR) and European Corporate Governance Institute (ECGI) |
| 02:30 p.m. | Hidden rate exposure under equity portfolio decarbonisation strategies Gianluca Mango, Gabriele Fraboni, Massimo Dello Preite, Banca d'Italia |
Session 3: Asset Allocation & Sustainability
Chair: Jeremy Hor, Monetary Authority of Singapore (MAS)
| 03:30 p.m. | The effect of sustainability on portfolio choice Marco Fanari, Marianna Caccavaio, Davide Di Zio, Simone Letta, Ciriaco Milano, Banca d'Italia |
| 04:00 p.m. | Biodiversity and Climate: Friends or Foes? Eric Bouyé, Romain Deguest, Emmanuel Jurczenko, Jerome Teiletche, The World Bank |
| 04:30 p.m. | Beyond Paris alignment: embracing carbon uncertainty in portfolio construction Dora F Xia and Omar Zulaica, Bank for International Settlements (BIS) |
Friday, 13 September 2024
| 09:00 a.m. | Registration |
| 09:15 a.m. | Keynote address |
Session 4: Portfolio Choice
Chair: Tommaso Perez, Banca d'Italia
| 09:45 a.m. | Full-scale optimization: applications for public investors Diana Acevedo, Carlos Antonio Cano, Central Reserve Bank of Peru |
| 10:15 a.m. | Overallocated Investors and Secondary Transactions Rustam Abuzov, Darden School of Business, University of Virginia |
| 10:45 a.m. | Strategic Asset Allocation with Private Assets and Leverage Walter Distaso, Bernd Scherer, Abu Dhabi Investment Authority |
Session 5: Fixed Income Portfolio Management
Chair: Grace Qiu Tiantian, Government of Singapore Investment Corporation (GIC)
| 11:30 a.m. | A Machine Learning Ensemble Framework to Forecast the Yield Curve Marcelo A. Martin, Pablo A. Orazi, Central Bank of Argentina |
| 12:00 p.m. | Regime-based portfolio optimisation: A Hidden Markov Model approach for fixed income portfolios Byran Taljaard, European Stability Mechanism |
| 12:30 p.m. | Estimating term premia using a terminal rate model Johannes Kramer, International Monetary Fund |